全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

On detecting the dependence of time series

DOI: 10.1080/03610926.2010.530373

Full-Text   Cite this paper   Add to My Lib

Abstract:

This short note suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak and such that the traditional methods are not effective. The method requires to compare some special functionals on the sample characteristic functions with the same functionals computed for the benchmark time series with a known degree of correlation. Some experiments for financial time series are presented.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133